ldhmm | Constructor of ldhmm class |
ldhmm.calc_stats_from_obs | Computing the statistics for each state |
ldhmm-class | The ldhmm class |
ldhmm.conditional_prob | Computing the conditional probabilities |
ldhmm.decode_stats_history | Estimating historical statistics (mean, volatility and... |
ldhmm.decoding | Computing the minus log-likelihood (MLLK) |
ldhmm.forecast_prob | Computing the forecast probability distribution |
ldhmm.forecast_state | Computing the state forecast |
ldhmm.forecast_volatility | Computing the volatility forecast for next one period |
ldhmm.fred_data | Utility to download time series from FRED |
ldhmm.gamma_init | Initializing tansition probability paramter |
ldhmm.ld_stats | Computes the theoretical statistics per state |
ldhmm.log_forward | Computing the log forward and backward probabilities |
ldhmm.mle | Computing the MLEs |
ldhmm.mllk | Computing the minus log-likelihood (MLLK) |
ldhmm.n2w | Transforming natural parameters to a linear working parameter... |
ldhmm.oxford_man_index_list | Get the index list from Oxford-Man |
ldhmm.oxford_man_plot_obs | Plotting Oxford-Man realized volatility overlaid with HMM... |
ldhmm.oxford_man_realized_data | Get the realized data from Oxford-Man |
ldhmm.oxford_man_ts | Get time series from Oxford-Man Realized data set |
ldhmm-package | ldhmm: A package for HMM using lambda distribution. |
ldhmm.plot_spx_vix_obs | Plotting HMM expected volatility for SPX overlaid with... |
ldhmm.pseudo_residuals | Computing pseudo-residuals |
ldhmm.read_sample_object | Read sample ldhmm object |
ldhmm.simulate_abs_acf | Simulating auto-correlation (ACF) |
ldhmm.simulate_state_transition | Simulating state transition |
ldhmm.sma | Simple moving average of a time series |
ldhmm.state_ld | Constructing the ecld objects per state |
ldhmm.state_pdf | Computing the PDF per state given the observations |
ldhmm.ts_abs_acf | Computing ACF of the absolute value of a time series |
ldhmm.ts_log_rtn | Get log-returns from historic prices of an index |
ldhmm.viterbi | Computing the global decoding by the Viterbi algorithm |
ldhmm.w2n | Transforming working parameter array to natural parameters |
numericOrNull-class | The numericOrNull class |
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